obAnalytics

Limit Order Book Analytics

Data processing, visualisation and analysis of Limit Order Book
event data.

Limit Order Book event processing and visualisation.

obAnalytics is an R package intended for visualisation and analysis of limit
order data. The package is experimental and is based on the R code used to
create the visualisations in this Limit Order Book Visualisation
article.

Installation

CRAN

install.packages("obAnalytics")

Github

if(!require("devtools")) install.packages("devtools")

devtools::install_github("phil8192/ob-analytics")

Environment settings

Due to the large number of columns in the example data, it is recommended to set
the display width to make the most use of the display. It is also recommended to
set digits.secs=3 and scipen=999 in order to display timestamps and fractions
nicely. This can be achieved as follows:

Example use

Preprocessed limit order data from the inst/extdata directory has been included
in the package. The data, taken from a Bitcoin exchange on 2015-05-01, consists
of 50,393 limit order events and 482 trades occuring from midnight up until
~5am. To use the data, attach it to the environment:

library(obAnalytics)

data(lob.data)

The lob.data data structure contains 4 data.frames describing limit order
events, trades, depth and summary statistics. All of which are described in
detail in the package documentation. To visualise all of the example order book
data, use the plotPriceLevels function:

with(lob.data, {

spread <- getSpread(depth.summary)

plotPriceLevels(depth, spread, volume.scale=10^-8, show.mp=T)

})

Web app

An interactive interface making use of this package is available in the
shiny-ob-analytics respository.

Documentation

Example use documentation has been created in R Markdown (see vignettes)
directory. knitr is used to generate
vignettes. roxygen2 is used to
generate the pdf manual from code comments.